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Do anybody prepares time series by the way I described below? If yes, what kind of software do you use to determine the parts where the process is close to quasi-stationary?
The Price graph is time series from mathematic perspective. While analyzing the time series it is possible to determine the parts where the process is close to quasi-stationary one and it means that it is possible to apply the analysis methods which are also applicable to quasi-stationary processes and to make a prognosis of the time series behavior in the future. Lets determine the sample of time series which can be considered as quasi-stationary and make a spectral analysis on it.
can you explain more details ?
Hi,
Could anybody tell me where I could find more details on how to analyse the spectrum of a currency ?
I've created the spectrum for EURUSD for example, but where can we get the exact values of the tops? And how do we use them to create a filter?
Thank you very much in advance for your help.
As i remember Simba did it with explanation in this https://www.mql5.com/en/forum/trading_systems section. Don't remember the thread sorry but it is here https://www.mql5.com/en/forum/trading_systems
Try to find his posts.
Thank you very much newdigital. I think I've found the thread from Simba. That's SimbaConMan :-)
Is there a way to optimize the parameters to create the filters? What is the computation we have to do? After we have generated the spectrum and we know the significant cycles, how does it helps us to choose the parameters for the indocator?
I think it is for Generator of Digital Filter's software to create indicators for MT4.
Software was posted here https://www.mql5.com/en/forum/172930
Don't use it for the long time but still have installed on my computer:
Parameters
Is there a way to optimize the parameters to create the filters? What is the computation we have to do? After we have generated the spectrum and we know the significant cycles, how does it helps us to choose the parameters for the indocator?
Post the parameters you have found and a clear picture of the digital filter generator spectrum analizer,and I will explain the basics of it to you
Simba
Hi Simba,
Thank you very much for the help!!!
What I did only is take the EURUSD 4h data and generate the spectrum using DFM.
I get the following peaks: 12, 21, 30, 39 and 72
First, I don't know which peaks are significant or not? How do we know it?
Then using those informations, I should be able to build a digital indicator. If for example I want to create the SATL indicator, how should I proceed? How do we set the parameters P1, D1, A1, Db and so on? I guess we have to use the cycles' values to filter one cycle but I don't understand what each parameter is doing.
Also, if I want to create a PCCI filter, should I set the parameters so that the indicator is not crossing the mid-line too often and when it does then it is showing a valid move or reversal?
How do we create and use the filters' sets? What is their interest?
I know that that makes a lot of questions and I'm looking forward to your answer.
Regards,
Daniel
help
Hi Simba,
Thank you very much for the help!!!
What I did only is take the EURUSD 4h data and generate the spectrum using DFM.
I get the following peaks: 12, 21, 30, 39 and 72
First, I don't know which peaks are significant or not? How do we know it?by their height,the 2 significant ones are 30 and 73 in your pic
Then using those informations, I should be able to build a digital indicator. If for example I want to create the SATL indicator, how should I proceed? How do we set the parameters P1, D1, A1, Db and so on? I guess we have to use the cycles' values to filter one cycle but I don't understand what each parameter is doing..P1=73..D1=30..A1=40..dB=0.08..BASICALLY YOU ARE TAKING ALL CYCLES BETWEEN 30 AND 73 AND SMOOTHING THEM TO CREATE A NOISE FREE(lower noise actually) MODEL OF PRICE..leave A1,Db at their predefined settings you only have to worry about P1 and D1Also, if I want to create a PCCI filter, should I set the parameters so that the indicator is not crossing the mid-line too often and when it does then it is showing a valid move or reversal?P1=73..d1=30..Try it,leave A1 and Db as they are preset
How do we create and use the filters' sets? What is their interest?1-TO FILTER NOISE IN REAL TIME WITHOUT DELAY(with minimal delay)..so,for example ,a change in the slope of satl signals a change of trend,while a change in slope of a 73 periods sma has a delay equivalent to half its period approximately,36periods delay.2-To make oscillators based on half the period of the dominant cycle,in your pic,the dominant cycles are 30 and 73,so,if you use RSI,Stochastics,etc..you will probably get very good results by setting their period to 15...and 36
I know that that makes a lot of questions and I'm looking forward to your answer.
Regards,
DanielHi Daniel,my reply is above,why don`t you just do the SATL and PCCI and post them here so we can take a look and see if they need some modifications?I explained to you one of the ways to do what you requested,usually it is the most useful one,but there are alternatives in case the end result doesn`t models the price as it should.
Regards
Simba